Duvan Zapata and Marten De Roon got the second half goals for the visitors, ending the Giallorossi's unbeaten start to the campaign.
Paulo Fonseca's side had their chances - Nicolo Zaniolo having perhaps the best of them, although both Edin Dzeko and substitute Nikola Kalinic forced great saves from Atalanta goalkeeper Pierluigi Gollini - but struggled to impose themselves against last season's Champions League qualifiers.
Chris Smalling made his debut for Roma during the game, but was unable to help the side keep a clean sheet.
The first goal always looked likely to be crucial in a game that was evenly-contested throughout; but it was Atalanta who got it, as substitute Zapata punished the hosts with a fine first-time finish inside the box.
With Roma pressing for an equaliser - one Kalinic nearly provided - in the end it was De Roon who could hardly miss when presented with a free header inside the box in the dying moments.
Roma are back in action on Sunday, as they travel to face Lecce.
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